All VXX

P&L Summary

Range Return Sharpe Win% Ave Ave+ Ave- Max- Underwater Days %
20 14 7.9 67 12 24 (10) (14) 0 45
60 8 2.3 54 5 32 (26) (81) (1) 58
120 14 5.4 65 12 31 (24) (81) (1) 45
250 19 5.2 67 14 35 (26) (190) (2) 52
500 26 5.8 67 20 47 (34) (190) (3) 52
760 25 5.6 66 19 45 (33) (190) (3) 53
1260 22 5 66 15 40 (31) (297) (3) 55
2520 18 4.9 66 15 41 (33) (297) (5) 45
All 21 4.9 66 15 41 (33) (297) (5) 53

P&L Month Table

Year 1 2 3 4 5 6 7 8 9 10 11 12 R Sharpe Win% Trades MaxLoss UW Max Ave
Avg 1.7 2.8 1.8 2.1 1.2 3.3 1.9 1.5 2.8 1.3 1.7 1 23 5 66 141 (2) (3.2) 0.6 0.4
2017 3 2.2 0.5 0.1 0.2 0 0 0 0 0 0 0 6 5.2 63.3 51 (0.8) (1.4) 0.4 0.4
2016 3.4 4.9 2 1.7 2 4 1.4 0.6 4.5 1.4 1.1 0.2 27.2 6.5 69.9 138 (1.9) (2.3) 0.4 0.4
2015 0.7 4.2 2.7 4 2.1 2.9 4.7 1.9 0.8 2.1 4.5 1.9 32.5 6.2 67.6 135 (1.6) (3.5) 0.8 0.4
2014 2.6 3.5 (0.1) (0.1) 1.6 1.7 (0.7) 2.3 2.5 1.1 1.5 3.3 19.2 4.2 63.3 144 (1.8) (2.2) 0.8 0.4
2013 0.7 0 0.4 2.9 0.3 3.4 3.2 (0.2) 1.3 1.7 0.5 0.7 14.9 3.4 63.5 154 (3) (3.2) 0.4 0.4
2012 1.2 1.3 4.2 1.9 (0.1) 4.6 0.8 3.1 4.7 0 0.7 (1.1) 21.3 4.6 65.9 134 (1.8) (4.6) 0.4 0.4
2011 1.3 0.2 2.6 1.3 1.9 (1.1) (0.8) 8.1 0.8 9.3 4.5 0.4 28.5 6.1 69.6 133 (1.4) (3.1) 0.8 0.4
2010 3.3 1.6 (0.5) 3 (2.9) 3.3 0.8 2.7 0.2 2.4 4.3 0.2 18.4 4.6 67.7 126 (2.3) (4.2) 0.8 0.4
2009 0 0 4.4 1.4 (0.9) (0.3) 2.1 0.7 1 3.5 0.1 0.2 12.2 3.3 63.2 121 (1.2) (3.3) 0.8 0.4